Econometric Methods of Signal Extraction
The Wiener-Kolmogorov signal extraction filters, which are widely used in econometric analysis, are constructed on the basis of statistical models of the processes generating the data. In this paper, such models are used mainly as heuristic devices that are to be specified in whichever ways are appropriate to ensure that the filters have the desired characteristics. The digital Butterworth filters, which are described and illustrated in the paper, are specified in this way. The components of an econometric time series often give rise to spectral structures that fall within well-defined frequency bands that are isolated from each other by spectral dead spaces. We find that the finite-sample Wiener-Kolmogorov formulation lends itself readily to a specialisation that is appropriate for dealing with band-limited components.
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"Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series,"
NBER Working Papers
5022, National Bureau of Economic Research, Inc.
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"Filters for Short Non-stationary Sequences,"
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- Stephen Pollock, 2000. "Filters for Short Nonstationary Sequences," Working Papers 423, Queen Mary University of London, School of Economics and Finance.
- Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, December.
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